Timely quarterly indicators of household consumption and disposable income for the Italian regions

This study introduces an innovative econometric methodology for developing timely quarterly indicators of household income and consumption for all Italian regions and autonomous provinces. Leveraging a comprehensive statistical database spanning from 1995 to 2022, the methodology utilizes basic indicators from the real economy and monetary sectors. These indicators are condensed into regional common factors and combined with national aggregates to model the annual regional time series published by Istat. Two selection approaches, Stepwise Forward Selection (SFS) and sparse Temporal Disaggregation (spTD) using LASSO-type methods identify relevant local factors. These models interpolate observed annual figures ex-post and provide ex-ante estimates of quarterly regional aggregates with a 90-day post-quarter-end lag. In-sample evaluations show high model fit, particularly with the spTD methodology. Out-of-sample forecasting confirms satisfactory predictive performance, albeit with varying precision across regions. Overall, this methodology yields reliable indicators of regional household income and consumption dynamics, offering timely insights that are crucial for short-term economic analysis and answer the challenges posed by official statistics in Italy, which are annual and released with a one-year lag.